def __init__(self, config):
"""
1. read in configs
2. Set up backtest event engine
"""
self._current_time = Timestamp('1900-01-01')
## 0. read in configs
self._initial_cash = config['cash']
self._symbols = config['tickers']
self._benchmark = config['benchmark']
#self.start_date = datetime.datetime.strptime(config['start_date'], "%Y-%m-%d")
#self.end_date = datetime.datetime.strptime(config['end_date'], "%Y-%m-%d")
start_date = config['start_date']
send_date = config['end_date']
strategy_name = config['strategy']
datasource = str(config['datasource'])
self._hist_dir = config['hist_dir']
self._output_dir = config['output_dir']
## 1. data_feed
symbols_all = self._symbols[:] # copy
if self._benchmark is not None:
symbols_all.append(self._benchmark)
self._symbols = [str(s) for s in self._symbols]
symbols_all = [str(s) for s in symbols_all]
if (datasource.upper() == 'LOCAL'):
self._data_feed = BacktestDataFeedLocal(hist_dir=self._hist_dir,
start_date=start_date,
end_date=send_date)
elif (datasource.upper() == 'TUSHARE'):
self._data_feed = BacktestDataFeedTushare(start_date=start_date,
end_date=send_date)
else:
self._data_feed = BacktestDataFeedQuandl(start_date=start_date,
end_date=send_date)
self._data_feed.subscribe_market_data(symbols_all)
## 2. event engine
self._events_engine = BacktestEventEngine(self._data_feed)
## 3. brokerage
self._data_board = DataBoard()
self._backtest_brokerage = BacktestBrokerage(self._events_engine,
self._data_board)
## 4. portfolio_manager
self._portfolio_manager = PortfolioManager(self._initial_cash)
## 5. performance_manager
self._performance_manager = PerformanceManager(symbols_all)
## 6. risk_manager
self._risk_manager = PassThroughRiskManager()
## 7. load all strategies
strategyClass = strategy_list.get(strategy_name, None)
if not strategyClass:
print(u'can not find strategy：%s' % strategy_name)
return
self._strategy = strategyClass(self._symbols, self._events_engine)
self._strategy.on_init()
self._strategy.on_start()
## 8. trade recorder
#self._trade_recorder = ExampleTradeRecorder(output_dir)
## 9. wire up event handlers
self._events_engine.register_handler(EventType.TICK,
self._tick_event_handler)
self._events_engine.register_handler(EventType.BAR,
self._bar_event_handler)
self._events_engine.register_handler(EventType.ORDER,
self._order_event_handler)
self._events_engine.register_handler(EventType.FILL,
self._fill_event_handler)
def __init__(self, config):
"""
1. read in configs
2. Set up backtest event engine
"""
self._current_time = None
## 0. read in configs
self._initial_cash = config['cash']
self._symbols = config['symbols']
self._benchmark = config['benchmark']
#self.start_date = datetime.datetime.strptime(config['start_date'], "%Y-%m-%d")
#self.end_date = datetime.datetime.strptime(config['end_date'], "%Y-%m-%d")
start_date = config['start_date']
send_date = config['end_date']
params = config['params']
strategy_name = config['strategy']
datasource = str(config['datasource'])
batch_tag = config['batch_tag']
root_multiplier = config['root_multiplier']
self._hist_dir = config['hist_dir']
self._fvp_file = config['fvp_file']
self._output_dir = config['output_dir']
## 1. data_feed
symbols_all = self._symbols[:] # copy
if self._benchmark is not None:
symbols_all.append(self._benchmark)
self._symbols = [str(s) for s in self._symbols]
symbols_all = set([str(s) for s in symbols_all]) # remove duplicates
if (datasource.upper() == 'LOCAL'):
print('Using local single symbol data feed')
self._data_feed = BacktestDataFeedLocalSingleSymbol(
hist_dir=self._hist_dir,
start_date=start_date, end_date=send_date
)
elif (datasource.upper() == 'MULTI_LOCAL'):
print('Using local multiple symbol data feed')
self._data_feed = BacktestDataFeedLocalMultipleSymbols(
hist_dir=self._hist_dir,
start_date=start_date, end_date=send_date
)
else:
print('Using Quandl data feed')
self._data_feed = BacktestDataFeedQuandl(
start_date=start_date, end_date=send_date
)
self._data_feed.subscribe_market_data(self._symbols) # not symbols_all
## 2. event engine
self._events_engine = BacktestEventEngine(self._data_feed)
## 3. brokerage
self._data_board = DataBoard(hist_dir=self._hist_dir, syms=symbols_all)
self._backtest_brokerage = BacktestBrokerage(
self._events_engine, self._data_board
)
## 4. portfolio_manager
self._df_fvp = None
if self._fvp_file is not None:
self._df_fvp = pd.read_csv(self._hist_dir+self._fvp_file, index_col=0)
self._portfolio_manager = PortfolioManager(self._initial_cash, self._df_fvp)
## 5. performance_manager
self._performance_manager = PerformanceManager(self._symbols, self._benchmark, batch_tag, root_multiplier, self._df_fvp)
## 6. risk_manager
self._risk_manager = PassThroughRiskManager()
## 7. load all strategies
strategyClass = strategy_list.get(strategy_name, None)
if not strategyClass:
print(u'can not find strategy：%s' % strategy_name)
return
else:
print(u'backtesting strategy：%s' % strategy_name)
self._strategy = strategyClass(self._events_engine, self._data_board)
self._strategy.set_symbols(self._symbols)
self._strategy.set_capital(self._initial_cash)
self._strategy.on_init(params)
self._strategy.on_start()
## 8. trade recorder
#self._trade_recorder = ExampleTradeRecorder(output_dir)
## 9. wire up event handlers
self._events_engine.register_handler(EventType.TICK, self._tick_event_handler)
self._events_engine.register_handler(EventType.BAR, self._bar_event_handler)
self._events_engine.register_handler(EventType.ORDER, self._order_event_handler)
self._events_engine.register_handler(EventType.FILL, self._fill_event_handler)
class Backtest(object):
"""
Event driven backtest engine
"""
def __init__(self, config):
"""
1. read in configs
2. Set up backtest event engine
"""
self._current_time = Timestamp('1900-01-01')
## 0. read in configs
self._initial_cash = config['cash']
self._symbols = config['tickers']
self._benchmark = config['benchmark']
#self.start_date = datetime.datetime.strptime(config['start_date'], "%Y-%m-%d")
#self.end_date = datetime.datetime.strptime(config['end_date'], "%Y-%m-%d")
start_date = config['start_date']
send_date = config['end_date']
strategy_name = config['strategy']
datasource = str(config['datasource'])
self._hist_dir = config['hist_dir']
self._output_dir = config['output_dir']
## 1. data_feed
symbols_all = self._symbols[:] # copy
if self._benchmark is not None:
symbols_all.append(self._benchmark)
self._symbols = [str(s) for s in self._symbols]
symbols_all = [str(s) for s in symbols_all]
if (datasource.upper() == 'LOCAL'):
self._data_feed = BacktestDataFeedLocal(hist_dir=self._hist_dir,
start_date=start_date,
end_date=send_date)
elif (datasource.upper() == 'TUSHARE'):
self._data_feed = BacktestDataFeedTushare(start_date=start_date,
end_date=send_date)
else:
self._data_feed = BacktestDataFeedQuandl(start_date=start_date,
end_date=send_date)
self._data_feed.subscribe_market_data(symbols_all)
## 2. event engine
self._events_engine = BacktestEventEngine(self._data_feed)
## 3. brokerage
self._data_board = DataBoard()
self._backtest_brokerage = BacktestBrokerage(self._events_engine,
self._data_board)
## 4. portfolio_manager
self._portfolio_manager = PortfolioManager(self._initial_cash)
## 5. performance_manager
self._performance_manager = PerformanceManager(symbols_all)
## 6. risk_manager
self._risk_manager = PassThroughRiskManager()
## 7. load all strategies
strategyClass = strategy_list.get(strategy_name, None)
if not strategyClass:
print(u'can not find strategy：%s' % strategy_name)
return
self._strategy = strategyClass(self._symbols, self._events_engine)
self._strategy.on_init()
self._strategy.on_start()
## 8. trade recorder
#self._trade_recorder = ExampleTradeRecorder(output_dir)
## 9. wire up event handlers
self._events_engine.register_handler(EventType.TICK,
self._tick_event_handler)
self._events_engine.register_handler(EventType.BAR,
self._bar_event_handler)
self._events_engine.register_handler(EventType.ORDER,
self._order_event_handler)
self._events_engine.register_handler(EventType.FILL,
self._fill_event_handler)
# ------------------------------------ private functions -----------------------------#
def _tick_event_handler(self, tick_event):
self._current_time = tick_event.timestamp
# performance update goes before position updates because it updates previous day performance
self._performance_manager.update_performance(self._current_time,
self._portfolio_manager,
self._data_board)
self._portfolio_manager.mark_to_market(self._current_time,
tick_event.full_symbol,
tick_event.price)
self._data_board.on_tick(tick_event)
self._strategy.on_tick(tick_event)
def _bar_event_handler(self, bar_event):
self._current_time = bar_event.bar_end_time()
# performance update goes before position updates because it updates previous day
self._performance_manager.update_performance(self._current_time,
self._portfolio_manager,
self._data_board)
self._portfolio_manager.mark_to_market(self._current_time,
bar_event.full_symbol,
bar_event.adj_close_price)
self._data_board.on_bar(bar_event)
self._strategy.on_bar(bar_event)
def _order_event_handler(self, order_event):
self._backtest_brokerage.place_order(order_event)
def _fill_event_handler(self, fill_event):
self._portfolio_manager.on_fill(fill_event)
self._performance_manager.on_fill(fill_event)
# -------------------------------- end of private functions -----------------------------#
# -------------------------------------- public functions -------------------------------#
def run(self):
"""
Run backtest
"""
self._events_engine.run()
self._performance_manager.update_final_performance(
self._current_time, self._portfolio_manager, self._data_board)
self._performance_manager.save_results(self._output_dir)
self._performance_manager.create_tearsheet()
def __init__(self, config):
"""
1. read in configs
2. Set up backtest event engine
"""
self._current_time = None
## 0. read in configs
self._initial_cash = config['cash']
self._symbols = config['symbols']
self._benchmark = config['benchmark']
#self.start_date = datetime.datetime.strptime(config['start_date'], "%Y-%m-%d")
#self.end_date = datetime.datetime.strptime(config['end_date'], "%Y-%m-%d")
start_date = config['start_date']
send_date = config['end_date']
params = config['params']
strategy_name = config['strategy']
datasource = str(config['datasource'])
batch_tag = config['batch_tag']
root_multiplier = config['root_multiplier']
self._hist_dir = config['hist_dir']
self._fvp_file = config['fvp_file']
self._output_dir = config['output_dir']
## 1. data_feed
symbols_all = self._symbols[:] # copy
if self._benchmark is not None:
symbols_all.append(self._benchmark)
self._symbols = [str(s) for s in self._symbols]
symbols_all = set([str(s) for s in symbols_all]) # remove duplicates
if (datasource.upper() == 'LOCAL'):
print('Using local single symbol data feed')
self._data_feed = BacktestDataFeedLocalSingleSymbol(
hist_dir=self._hist_dir,
start_date=start_date,
end_date=send_date)
elif (datasource.upper() == 'MULTI_LOCAL'):
print('Using local multiple symbol data feed')
self._data_feed = BacktestDataFeedLocalMultipleSymbols(
hist_dir=self._hist_dir,
start_date=start_date,
end_date=send_date)
else:
print('Using Quandl data feed')
self._data_feed = BacktestDataFeedQuandl(start_date=start_date,
end_date=send_date)
self._data_feed.subscribe_market_data(self._symbols) # not symbols_all
## 2. event engine
self._events_engine = BacktestEventEngine(self._data_feed)
## 3. brokerage
self._data_board = DataBoard(hist_dir=self._hist_dir, syms=symbols_all)
self._backtest_brokerage = BacktestBrokerage(self._events_engine,
self._data_board)
## 4. portfolio_manager
self._df_fvp = None
if self._fvp_file is not None:
self._df_fvp = pd.read_csv(self._hist_dir + self._fvp_file,
index_col=0)
self._portfolio_manager = PortfolioManager(self._initial_cash,
self._df_fvp)
## 5. performance_manager
self._performance_manager = PerformanceManager(self._symbols,
self._benchmark,
batch_tag,
root_multiplier,
self._df_fvp)
## 6. risk_manager
self._risk_manager = PassThroughRiskManager()
## 7. load all strategies
strategyClass = strategy_list.get(strategy_name, None)
if not strategyClass:
print(u'can not find strategy：%s' % strategy_name)
return
else:
print(u'backtesting strategy：%s' % strategy_name)
self._strategy = strategyClass(self._events_engine, self._data_board)
self._strategy.set_symbols(self._symbols)
self._strategy.set_capital(self._initial_cash)
self._strategy.on_init(params)
self._strategy.on_start()
## 8. trade recorder
#self._trade_recorder = ExampleTradeRecorder(output_dir)
## 9. wire up event handlers
self._events_engine.register_handler(EventType.TICK,
self._tick_event_handler)
self._events_engine.register_handler(EventType.BAR,
self._bar_event_handler)
self._events_engine.register_handler(EventType.ORDER,
self._order_event_handler)
self._events_engine.register_handler(EventType.FILL,
self._fill_event_handler)
class BacktestEngine(object):
"""
Event driven backtest engine
"""
def __init__(self, config):
"""
1. read in configs
2. Set up backtest event engine
"""
self._current_time = None
## 0. read in configs
self._initial_cash = config['cash']
self._symbols = config['symbols']
self._benchmark = config['benchmark']
#self.start_date = datetime.datetime.strptime(config['start_date'], "%Y-%m-%d")
#self.end_date = datetime.datetime.strptime(config['end_date'], "%Y-%m-%d")
start_date = config['start_date']
send_date = config['end_date']
params = config['params']
strategy_name = config['strategy']
datasource = str(config['datasource'])
batch_tag = config['batch_tag']
root_multiplier = config['root_multiplier']
self._hist_dir = config['hist_dir']
self._fvp_file = config['fvp_file']
self._output_dir = config['output_dir']
## 1. data_feed
symbols_all = self._symbols[:] # copy
if self._benchmark is not None:
symbols_all.append(self._benchmark)
self._symbols = [str(s) for s in self._symbols]
symbols_all = set([str(s) for s in symbols_all]) # remove duplicates
if (datasource.upper() == 'LOCAL'):
print('Using local single symbol data feed')
self._data_feed = BacktestDataFeedLocalSingleSymbol(
hist_dir=self._hist_dir,
start_date=start_date, end_date=send_date
)
elif (datasource.upper() == 'MULTI_LOCAL'):
print('Using local multiple symbol data feed')
self._data_feed = BacktestDataFeedLocalMultipleSymbols(
hist_dir=self._hist_dir,
start_date=start_date, end_date=send_date
)
else:
print('Using Quandl data feed')
self._data_feed = BacktestDataFeedQuandl(
start_date=start_date, end_date=send_date
)
self._data_feed.subscribe_market_data(self._symbols) # not symbols_all
## 2. event engine
self._events_engine = BacktestEventEngine(self._data_feed)
## 3. brokerage
self._data_board = DataBoard(hist_dir=self._hist_dir, syms=symbols_all)
self._backtest_brokerage = BacktestBrokerage(
self._events_engine, self._data_board
)
## 4. portfolio_manager
self._df_fvp = None
if self._fvp_file is not None:
self._df_fvp = pd.read_csv(self._hist_dir+self._fvp_file, index_col=0)
self._portfolio_manager = PortfolioManager(self._initial_cash, self._df_fvp)
## 5. performance_manager
self._performance_manager = PerformanceManager(self._symbols, self._benchmark, batch_tag, root_multiplier, self._df_fvp)
## 6. risk_manager
self._risk_manager = PassThroughRiskManager()
## 7. load all strategies
strategyClass = strategy_list.get(strategy_name, None)
if not strategyClass:
print(u'can not find strategy：%s' % strategy_name)
return
else:
print(u'backtesting strategy：%s' % strategy_name)
self._strategy = strategyClass(self._events_engine, self._data_board)
self._strategy.set_symbols(self._symbols)
self._strategy.set_capital(self._initial_cash)
self._strategy.on_init(params)
self._strategy.on_start()
## 8. trade recorder
#self._trade_recorder = ExampleTradeRecorder(output_dir)
## 9. wire up event handlers
self._events_engine.register_handler(EventType.TICK, self._tick_event_handler)
self._events_engine.register_handler(EventType.BAR, self._bar_event_handler)
self._events_engine.register_handler(EventType.ORDER, self._order_event_handler)
self._events_engine.register_handler(EventType.FILL, self._fill_event_handler)
# ------------------------------------ private functions -----------------------------#
def _tick_event_handler(self, tick_event):
self._current_time = tick_event.timestamp
# performance update goes before position updates because it updates previous day performance
self._performance_manager.update_performance(self._current_time, self._portfolio_manager, self._data_board)
self._portfolio_manager.mark_to_market(self._current_time, tick_event.full_symbol, tick_event.price, self._data_board)
self._data_board.on_tick(tick_event)
self._strategy.on_tick(tick_event)
def _bar_event_handler(self, bar_event):
self._current_time = bar_event.bar_end_time()
# performance update goes before position updates because it updates previous day
self._performance_manager.update_performance(self._current_time, self._portfolio_manager, self._data_board)
self._portfolio_manager.mark_to_market(self._current_time, bar_event.full_symbol, bar_event.adj_close_price, self._data_board)
self._data_board.on_bar(bar_event)
self._strategy.on_bar(bar_event)
def _order_event_handler(self, order_event):
self._backtest_brokerage.place_order(order_event)
def _fill_event_handler(self, fill_event):
self._portfolio_manager.on_fill(fill_event)
self._performance_manager.on_fill(fill_event)
# -------------------------------- end of private functions -----------------------------#
# -------------------------------------- public functions -------------------------------#
def run(self, tear_sheet=True):
"""
Run backtest
"""
self._events_engine.run()
self._performance_manager.update_final_performance(self._current_time, self._portfolio_manager, self._data_board)
self._performance_manager.save_results(self._output_dir)
return self._performance_manager.caculate_performance(tear_sheet)
class BacktestEngine(object):
"""
Event driven backtest engine
"""
def __init__(self, config):
"""
1. read in configs
2. Set up backtest event engine
"""
self._current_time = None
## 0. read in configs
self._initial_cash = config['cash']
self._symbols = config['symbols']
self._benchmark = config['benchmark']
#self.start_date = datetime.datetime.strptime(config['start_date'], "%Y-%m-%d")
#self.end_date = datetime.datetime.strptime(config['end_date'], "%Y-%m-%d")
start_date = config['start_date']
send_date = config['end_date']
params = config['params']
strategy_name = config['strategy']
datasource = str(config['datasource'])
batch_tag = config['batch_tag']
root_multiplier = config['root_multiplier']
self._hist_dir = config['hist_dir']
self._fvp_file = config['fvp_file']
self._output_dir = config['output_dir']
## 1. data_feed
symbols_all = self._symbols[:] # copy
if self._benchmark is not None:
symbols_all.append(self._benchmark)
self._symbols = [str(s) for s in self._symbols]
symbols_all = set([str(s) for s in symbols_all]) # remove duplicates
if (datasource.upper() == 'LOCAL'):
print('Using local single symbol data feed')
self._data_feed = BacktestDataFeedLocalSingleSymbol(
hist_dir=self._hist_dir,
start_date=start_date,
end_date=send_date)
elif (datasource.upper() == 'MULTI_LOCAL'):
print('Using local multiple symbol data feed')
self._data_feed = BacktestDataFeedLocalMultipleSymbols(
hist_dir=self._hist_dir,
start_date=start_date,
end_date=send_date)
else:
print('Using Quandl data feed')
self._data_feed = BacktestDataFeedQuandl(start_date=start_date,
end_date=send_date)
self._data_feed.subscribe_market_data(self._symbols) # not symbols_all
## 2. event engine
self._events_engine = BacktestEventEngine(self._data_feed)
## 3. brokerage
self._data_board = DataBoard(hist_dir=self._hist_dir, syms=symbols_all)
self._backtest_brokerage = BacktestBrokerage(self._events_engine,
self._data_board)
## 4. portfolio_manager
self._df_fvp = None
if self._fvp_file is not None:
self._df_fvp = pd.read_csv(self._hist_dir + self._fvp_file,
index_col=0)
self._portfolio_manager = PortfolioManager(self._initial_cash,
self._df_fvp)
## 5. performance_manager
self._performance_manager = PerformanceManager(self._symbols,
self._benchmark,
batch_tag,
root_multiplier,
self._df_fvp)
## 6. risk_manager
self._risk_manager = PassThroughRiskManager()
## 7. load all strategies
strategyClass = strategy_list.get(strategy_name, None)
if not strategyClass:
print(u'can not find strategy：%s' % strategy_name)
return
else:
print(u'backtesting strategy：%s' % strategy_name)
self._strategy = strategyClass(self._events_engine, self._data_board)
self._strategy.set_symbols(self._symbols)
self._strategy.set_capital(self._initial_cash)
self._strategy.on_init(params)
self._strategy.on_start()
## 8. trade recorder
#self._trade_recorder = ExampleTradeRecorder(output_dir)
## 9. wire up event handlers
self._events_engine.register_handler(EventType.TICK,
self._tick_event_handler)
self._events_engine.register_handler(EventType.BAR,
self._bar_event_handler)
self._events_engine.register_handler(EventType.ORDER,
self._order_event_handler)
self._events_engine.register_handler(EventType.FILL,
self._fill_event_handler)
# ------------------------------------ private functions -----------------------------#
def _tick_event_handler(self, tick_event):
self._current_time = tick_event.timestamp
# performance update goes before position updates because it updates previous day performance
self._performance_manager.update_performance(self._current_time,
self._portfolio_manager,
self._data_board)
self._portfolio_manager.mark_to_market(self._current_time,
tick_event.full_symbol,
tick_event.price,
self._data_board)
self._data_board.on_tick(tick_event)
self._strategy.on_tick(tick_event)
def _bar_event_handler(self, bar_event):
self._current_time = bar_event.bar_end_time()
# performance update goes before position updates because it updates previous day
self._performance_manager.update_performance(self._current_time,
self._portfolio_manager,
self._data_board)
self._portfolio_manager.mark_to_market(self._current_time,
bar_event.full_symbol,
bar_event.adj_close_price,
self._data_board)
self._data_board.on_bar(bar_event)
self._strategy.on_bar(bar_event)
def _order_event_handler(self, order_event):
self._backtest_brokerage.place_order(order_event)
def _fill_event_handler(self, fill_event):
self._portfolio_manager.on_fill(fill_event)
self._performance_manager.on_fill(fill_event)
# -------------------------------- end of private functions -----------------------------#
# -------------------------------------- public functions -------------------------------#
def run(self, tear_sheet=True):
"""
Run backtest
"""
self._events_engine.run()
self._performance_manager.update_final_performance(
self._current_time, self._portfolio_manager, self._data_board)
self._performance_manager.save_results(self._output_dir)
return self._performance_manager.caculate_performance(tear_sheet)
def __init__(self, config_server, config_client, lang_dict):
super(MainWindow, self).__init__()
## member variables
self._current_time = None
self._config_server = config_server
self._config_client = config_client
self._symbols = config_server[config_server['accounts'][0]]['tickers']
self._lang_dict = lang_dict
self._font = lang_dict['font']
self._widget_dict = {}
self.central_widget = None
self.market_window = None
self.message_window = None
self.order_window = None
self.fill_window = None
self.position_window = None
self.account_window = None
self.strategy_window = None
# 0. order_manager; some of ui_windows uses order_manager
self._order_manager = OrderManager()
## 1. event engine
self._outgoing_queue = Queue() # outgoing queue from client side
self._ui_events_engine = LiveEventEngine() # update ui
self._outgoing_request_events_engine = LiveEventEngine() # events/actions request from client
self._schedule_timer = QtCore.QTimer() # task scheduler; TODO produce result_packet
# 3. data board
self._data_board = DataBoard()
# 5. risk manager and compliance manager
self.risk_manager = PassThroughRiskManager()
# 6. account manager
self.account_manager = AccountManager(self._config_server)
# 7 portfolio manager and position manager
self.portfolio_manager = PortfolioManager(self._config_client['initial_cash'])
## 4. strategy_manager
self._strategy_manager = StrategyManager(self._config_client, self._outgoing_request_events_engine,self._order_manager,self.portfolio_manager, self._data_board)
self._strategy_manager.load_strategy()
## 8. client mq
self._client_mq = ClientMq(self._ui_events_engine, self._outgoing_queue)
# 1. set up gui windows
self.setGeometry(50, 50, 600, 400)
self.setWindowTitle(lang_dict['Prog_Name'])
self.setWindowIcon(QtGui.QIcon("gui/image/logo.ico"))
self.init_menu()
self.init_status_bar()
self.init_central_area()
## 9. wire up event handlers
self._ui_events_engine.register_handler(EventType.TICK, self._tick_event_handler)
self._ui_events_engine.register_handler(EventType.ORDERSTATUS, self.order_window.order_status_signal.emit)
self._ui_events_engine.register_handler(EventType.FILL, self._fill_event_handler)
self._ui_events_engine.register_handler(EventType.POSITION, self._position_event_handler)
self._ui_events_engine.register_handler(EventType.ACCOUNT, self.account_window.account_signal.emit)
self._ui_events_engine.register_handler(EventType.CONTRACT, self._contract_event_handler)
self._ui_events_engine.register_handler(EventType.HISTORICAL, self._historical_event_handler)
self._ui_events_engine.register_handler(EventType.GENERAL, self.log_window.msg_signal.emit)
self._outgoing_request_events_engine.register_handler(EventType.ORDER, self._outgoing_order_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.ACCOUNT, self._outgoing_account_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.POSITION, self._outgoing_position_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.GENERAL, self._outgoing_general_msg_request_handler)
## 10. start
self._ui_events_engine.start()
self._outgoing_request_events_engine.start()
self._client_mq.start()
class MainWindow(QtWidgets.QMainWindow):
def __init__(self, config_server, config_client, lang_dict):
super(MainWindow, self).__init__()
## member variables
self._current_time = None
self._config_server = config_server
self._config_client = config_client
self._symbols = config_server[config_server['accounts'][0]]['tickers']
self._lang_dict = lang_dict
self._font = lang_dict['font']
self._widget_dict = {}
self.central_widget = None
self.market_window = None
self.message_window = None
self.order_window = None
self.fill_window = None
self.position_window = None
self.account_window = None
self.strategy_window = None
# 0. order_manager; some of ui_windows uses order_manager
self._order_manager = OrderManager()
## 1. event engine
self._outgoing_queue = Queue() # outgoing queue from client side
self._ui_events_engine = LiveEventEngine() # update ui
self._outgoing_request_events_engine = LiveEventEngine() # events/actions request from client
self._schedule_timer = QtCore.QTimer() # task scheduler; TODO produce result_packet
# 3. data board
self._data_board = DataBoard()
# 5. risk manager and compliance manager
self.risk_manager = PassThroughRiskManager()
# 6. account manager
self.account_manager = AccountManager(self._config_server)
# 7 portfolio manager and position manager
self.portfolio_manager = PortfolioManager(self._config_client['initial_cash'])
## 4. strategy_manager
self._strategy_manager = StrategyManager(self._config_client, self._outgoing_request_events_engine,self._order_manager,self.portfolio_manager, self._data_board)
self._strategy_manager.load_strategy()
## 8. client mq
self._client_mq = ClientMq(self._ui_events_engine, self._outgoing_queue)
# 1. set up gui windows
self.setGeometry(50, 50, 600, 400)
self.setWindowTitle(lang_dict['Prog_Name'])
self.setWindowIcon(QtGui.QIcon("gui/image/logo.ico"))
self.init_menu()
self.init_status_bar()
self.init_central_area()
## 9. wire up event handlers
self._ui_events_engine.register_handler(EventType.TICK, self._tick_event_handler)
self._ui_events_engine.register_handler(EventType.ORDERSTATUS, self.order_window.order_status_signal.emit)
self._ui_events_engine.register_handler(EventType.FILL, self._fill_event_handler)
self._ui_events_engine.register_handler(EventType.POSITION, self._position_event_handler)
self._ui_events_engine.register_handler(EventType.ACCOUNT, self.account_window.account_signal.emit)
self._ui_events_engine.register_handler(EventType.CONTRACT, self._contract_event_handler)
self._ui_events_engine.register_handler(EventType.HISTORICAL, self._historical_event_handler)
self._ui_events_engine.register_handler(EventType.GENERAL, self.log_window.msg_signal.emit)
self._outgoing_request_events_engine.register_handler(EventType.ORDER, self._outgoing_order_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.ACCOUNT, self._outgoing_account_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.POSITION, self._outgoing_position_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.GENERAL, self._outgoing_general_msg_request_handler)
## 10. start
self._ui_events_engine.start()
self._outgoing_request_events_engine.start()
self._client_mq.start()
#################################################################################################
# -------------------------------- Event Handler --------------------------------------------#
#################################################################################################
def update_status_bar(self, message):
self.statusBar().showMessage(message)
def open_proj_folder(self):
webbrowser.open('d:/workspace/elitequant_python/')
def place_order(self):
s = str(self.sym.text())
n = self.direction.currentIndex()
f = self.order_flag.currentIndex()
p = str(self.order_price.text())
q = str(self.order_quantity.text())
t = self.order_type.currentIndex()
# to be checked by risk manger
try:
o = OrderEvent()
o.full_symbol = s
o.order_size = int(q) if (n == 0) else -1 * int(q)
o.order_flag = OrderFlag(f)
o.create_time = datetime.now().strftime('%Y-%m-%d %H:%M:%S.%f')
if (t == 0):
o.order_type = OrderType.MARKET
self._outgoing_request_events_engine.put(o)
elif (t == 1):
o.order_type = OrderType.LIMIT
o.limit_price = float(p)
self._outgoing_request_events_engine.put(o)
else:
pass
except:
print('place order error')
def start_strategy(self):
self.strategy_window.update_status(self.strategy_window.currentRow(), True)
def pause_strategy(self):
pass
def stop_strategy(self):
self.strategy_window.update_status(self.strategy_window.currentRow(), False)
def closeEvent(self, a0: QtGui.QCloseEvent):
print('closing main window')
self._ui_events_engine.stop()
self._outgoing_request_events_engine.stop()
self._client_mq.stop()
def _tick_event_handler(self, tick_event):
self._current_time = tick_event.timestamp
self._data_board.on_tick(tick_event) # update databoard
self._order_manager.on_tick(tick_event) # check standing stop orders
self._strategy_manager.on_tick(tick_event) # feed strategies
self.market_window.tick_signal.emit(tick_event) # display
def _order_status_event_handler(self, order_status_event): # including cancel
# this is moved to ui_thread for consistency
pass
def _fill_event_handler(self, fill_event):
# update portfolio manager for pnl
self._order_manager.on_fill(fill_event) # update order manager with fill
self._strategy_manager.on_fill(fill_event) # feed fill to strategy
self.fill_window.fill_signal.emit(fill_event) # display
self.order_window.update_order_status(fill_event.client_order_id,
self._order_manager.retrieve_order(fill_event.client_order_id).order_status)
def _position_event_handler(self, position_event):
self.portfolio_manager.on_position(position_event) # position received
self.position_window.position_signal.emit(position_event) # display
def _account_event_handler(self, account_event):
pass
def _contract_event_handler(self, contract_event):
self.portfolio_manager.on_contract(contract_event)
def _historical_event_handler(self, historical_event):
print(historical_event)
def _general_event_handler(self, general_event):
pass
def _outgoing_order_request_handler(self, o):
"""
process o, check against risk manager and compliance manager
"""
self.risk_manager.order_in_compliance(o) # order pointer; modify order directly
self._order_manager.on_order(o)
msg = o.serialize()
print('send msg: ' + msg)
self._outgoing_queue.put(msg)
def _outgoing_account_request_handler(self, a):
msg = a.serialize()
print('send msg: ' + msg)
self._outgoing_queue.put(msg)
def _outgoing_position_request_handler(self, p):
msg = p.serialize()
print('send msg: ' + msg)
self._outgoing_queue.put(msg)
def _outgoing_general_msg_request_handler(self, g):
self.log_window.update_table(g) # append to log window
#################################################################################################
# ------------------------------ Event Handler Ends --------------------------------------------#
#################################################################################################
#################################################################################################
# -------------------------------- User Interface --------------------------------------------#
#################################################################################################
def set_font(self, font):
self._font = font
def init_menu(self):
menubar = self.menuBar()
sysMenu = menubar.addMenu(self._lang_dict['File'])
# open folder
sys_folderAction = QtWidgets.QAction(self._lang_dict['Folder'], self)
sys_folderAction.setStatusTip(self._lang_dict['Open_Folder'])
sys_folderAction.triggered.connect(self.open_proj_folder)
sysMenu.addAction(sys_folderAction)
sysMenu.addSeparator()
# sys|exit
sys_exitAction = QtWidgets.QAction(self._lang_dict['Exit'], self)
sys_exitAction.setShortcut('Ctrl+Q')
sys_exitAction.setStatusTip(self._lang_dict['Exit_App'])
sys_exitAction.triggered.connect(self.close)
sysMenu.addAction(sys_exitAction)
def init_status_bar(self):
self.statusthread = StatusThread()
self.statusthread.status_update.connect(self.update_status_bar)
self.statusthread.start()
def init_central_area(self):
self.central_widget = QtWidgets.QWidget()
hbox = QtWidgets.QHBoxLayout()
#-------------------------------- Top Left ------------------------------------------#
topleft = MarketWindow(self._symbols, self._lang_dict)
self.market_window = topleft
# -------------------------------- Top right ------------------------------------------#
topright = QtWidgets.QFrame()
topright.setFrameShape(QtWidgets.QFrame.StyledPanel)
topright.setFont(self._font)
place_order_layout = QtWidgets.QFormLayout()
self.sym = QtWidgets.QLineEdit()
self.sym_name = QtWidgets.QLineEdit()
self.sec_type = QtWidgets.QComboBox()
self.sec_type.addItems([self._lang_dict['Stock'], self._lang_dict['Future'], self._lang_dict['Option'], self._lang_dict['Forex']])
self.direction = QtWidgets.QComboBox()
self.direction.addItems([self._lang_dict['Long'], self._lang_dict['Short']])
self.order_flag = QtWidgets.QComboBox()
self.order_flag.addItems([self._lang_dict['Open'], self._lang_dict['Close'], self._lang_dict['Close_Yesterday'], self._lang_dict['Close_Today']])
self.order_price = QtWidgets.QLineEdit()
self.order_quantity = QtWidgets.QLineEdit()
self.order_type = QtWidgets.QComboBox()
self.order_type.addItems([self._lang_dict['MKT'], self._lang_dict['LMT'], self._lang_dict['FAK'], self._lang_dict['FOK']])
self.exchange = QtWidgets.QComboBox()
self.exchange.addItems(['CFFEX','SHFE', 'DCE', 'HKFE','GLOBEX','SMART'])
self.account = QtWidgets.QComboBox()
self.account.addItems(['FROM', 'CONFIG'])
self.btn_order = QtWidgets.QPushButton(self._lang_dict['Place_Order'])
self.btn_order.clicked.connect(self.place_order)
place_order_layout.addRow(QtWidgets.QLabel(self._lang_dict['Discretionary']))
place_order_layout.addRow(self._lang_dict['Symbol'], self.sym)
place_order_layout.addRow(self._lang_dict['Name'], self.sym_name)
place_order_layout.addRow(self._lang_dict['Security_Type'], self.sec_type)
place_order_layout.addRow(self._lang_dict['Direction'], self.direction)
place_order_layout.addRow(self._lang_dict['Order_Flag'], self.order_flag)
place_order_layout.addRow(self._lang_dict['Price'], self.order_price)
place_order_layout.addRow(self._lang_dict['Quantity'], self.order_quantity)
place_order_layout.addRow(self._lang_dict['Order_Type'], self.order_type)
place_order_layout.addRow(self._lang_dict['Exchange'], self.exchange)
place_order_layout.addRow(self._lang_dict['Account'], self.account)
place_order_layout.addRow(self.btn_order)
topright.setLayout(place_order_layout)
# -------------------------------- bottom Left ------------------------------------------#
bottomleft = QtWidgets.QTabWidget()
bottomleft.setFont(self._font)
tab1 = QtWidgets.QWidget()
tab2 = QtWidgets.QWidget()
tab3 = QtWidgets.QWidget()
tab4 = QtWidgets.QWidget()
tab5 = QtWidgets.QWidget()
bottomleft.addTab(tab1, self._lang_dict['Log'])
bottomleft.addTab(tab2, self._lang_dict['Order'])
bottomleft.addTab(tab3, self._lang_dict['Fill'])
bottomleft.addTab(tab4, self._lang_dict['Position'])
bottomleft.addTab(tab5, self._lang_dict['Account'])
self.log_window = LogWindow(self._lang_dict)
tab1_layout = QtWidgets.QVBoxLayout()
tab1_layout.addWidget(self.log_window)
tab1.setLayout(tab1_layout)
self.order_window = OrderWindow(self._order_manager,self._outgoing_queue, self._lang_dict) # cancel_order outgoing nessage
tab2_layout = QtWidgets.QVBoxLayout()
tab2_layout.addWidget(self.order_window)
tab2.setLayout(tab2_layout)
self.fill_window =FillWindow(self._order_manager, self._lang_dict)
tab3_layout = QtWidgets.QVBoxLayout()
tab3_layout.addWidget(self.fill_window)
tab3.setLayout(tab3_layout)
self.position_window = PositionWindow(self._lang_dict)
tab4_layout = QtWidgets.QVBoxLayout()
tab4_layout.addWidget(self.position_window)
tab4.setLayout(tab4_layout)
self.account_window = AccountWindow(self.account_manager, self._lang_dict)
tab5_layout = QtWidgets.QVBoxLayout()
tab5_layout.addWidget(self.account_window)
tab5.setLayout(tab5_layout)
# -------------------------------- bottom right ------------------------------------------#
bottomright = QtWidgets.QFrame()
bottomright.setFrameShape(QtWidgets.QFrame.StyledPanel)
bottomright.setFont(self._font)
strategy_manager_layout = QtWidgets.QFormLayout()
self.strategy_window = StrategyWindow(self._lang_dict, self._strategy_manager)
self.btn_strat_start = QtWidgets.QPushButton(self._lang_dict['Start_Strat'])
self.btn_strat_start.clicked.connect(self.start_strategy)
self.btn_strat_pause = QtWidgets.QPushButton(self._lang_dict['Pause_Strat'])
self.btn_strat_pause.clicked.connect(self.pause_strategy)
self.btn_strat_stop = QtWidgets.QPushButton(self._lang_dict['Stop_Strat'])
self.btn_strat_stop.clicked.connect(self.stop_strategy)
self.btn_strat_liquidate = QtWidgets.QPushButton(self._lang_dict['Liquidate_Strat'])
btn_strat_layout = QtWidgets.QHBoxLayout()
btn_strat_layout.addWidget(self.btn_strat_start)
btn_strat_layout.addWidget(self.btn_strat_pause)
btn_strat_layout.addWidget(self.btn_strat_stop)
btn_strat_layout.addWidget(self.btn_strat_liquidate)
strategy_manager_layout.addRow(QtWidgets.QLabel(self._lang_dict['Automatic']))
strategy_manager_layout.addRow(self.strategy_window)
strategy_manager_layout.addRow(btn_strat_layout)
bottomright.setLayout(strategy_manager_layout)
# --------------------------------------------------------------------------------------#
splitter1 = QtWidgets.QSplitter(QtCore.Qt.Horizontal)
splitter1.addWidget(topleft)
splitter1.addWidget(topright)
splitter1.setSizes([400,100])
splitter2 = QtWidgets.QSplitter(QtCore.Qt.Horizontal)
splitter2.addWidget(bottomleft)
splitter2.addWidget(bottomright)
splitter2.setSizes([400, 100])
splitter3 = QtWidgets.QSplitter(QtCore.Qt.Vertical)
splitter3.addWidget(splitter1)
splitter3.addWidget(splitter2)
splitter3.setSizes([400, 100])
hbox.addWidget(splitter3)
self.central_widget.setLayout(hbox)
self.setCentralWidget(self.central_widget)
def __init__(self, config_server, config_client, lang_dict):
super(MainWindow, self).__init__()
## member variables
self._current_time = None
self._config_server = config_server
self._config_client = config_client
self._symbols = config_server[config_server['accounts'][0]]['tickers']
self._lang_dict = lang_dict
self._font = lang_dict['font']
self._widget_dict = {}
self.central_widget = None
self.market_window = None
self.message_window = None
self.order_window = None
self.fill_window = None
self.position_window = None
self.account_window = None
self.strategy_window = None
# 0. order_manager; some of ui_windows uses order_manager
self._order_manager = OrderManager()
## 1. event engine
self._outgoing_queue = Queue() # outgoing queue from client side
self._ui_events_engine = LiveEventEngine() # update ui
self._outgoing_request_events_engine = LiveEventEngine() # events/actions request from client
self._schedule_timer = QtCore.QTimer() # task scheduler; TODO produce result_packet
# 3. data board
self._data_board = DataBoard()
# 5. risk manager and compliance manager
self.risk_manager = PassThroughRiskManager()
# 6. account manager
self.account_manager = AccountManager(self._config_server)
# 7 portfolio manager and position manager
self.portfolio_manager = PortfolioManager(self._config_client['initial_cash'])
## 4. strategy_manager
self._strategy_manager = StrategyManager(self._config_client, self._outgoing_request_events_engine,self._order_manager,self.portfolio_manager, self._data_board)
self._strategy_manager.load_strategy()
## 8. client mq
self._client_mq = ClientMq(self._ui_events_engine, self._outgoing_queue)
# 1. set up gui windows
self.setGeometry(50, 50, 600, 400)
self.setWindowTitle(lang_dict['Prog_Name'])
self.setWindowIcon(QtGui.QIcon("gui/image/logo.ico"))
self.init_menu()
self.init_status_bar()
self.init_central_area()
## 9. wire up event handlers
self._ui_events_engine.register_handler(EventType.TICK, self._tick_event_handler)
self._ui_events_engine.register_handler(EventType.ORDERSTATUS, self.order_window.order_status_signal.emit)
self._ui_events_engine.register_handler(EventType.FILL, self._fill_event_handler)
self._ui_events_engine.register_handler(EventType.POSITION, self._position_event_handler)
self._ui_events_engine.register_handler(EventType.ACCOUNT, self.account_window.account_signal.emit)
self._ui_events_engine.register_handler(EventType.CONTRACT, self._contract_event_handler)
self._ui_events_engine.register_handler(EventType.HISTORICAL, self._historical_event_handler)
self._ui_events_engine.register_handler(EventType.GENERAL, self.log_window.msg_signal.emit)
self._outgoing_request_events_engine.register_handler(EventType.ORDER, self._outgoing_order_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.ACCOUNT, self._outgoing_account_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.POSITION, self._outgoing_position_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.GENERAL, self._outgoing_general_msg_request_handler)
## 10. start
self._ui_events_engine.start()
self._outgoing_request_events_engine.start()
self._client_mq.start()
class MainWindow(QtWidgets.QMainWindow):
def __init__(self, config_server, config_client, lang_dict):
super(MainWindow, self).__init__()
## member variables
self._current_time = None
self._config_server = config_server
self._config_client = config_client
self._symbols = config_server[config_server['accounts'][0]]['tickers']
self._lang_dict = lang_dict
self._font = lang_dict['font']
self._widget_dict = {}
self.central_widget = None
self.market_window = None
self.message_window = None
self.order_window = None
self.fill_window = None
self.position_window = None
self.account_window = None
self.strategy_window = None
# 0. order_manager; some of ui_windows uses order_manager
self._order_manager = OrderManager()
## 1. event engine
self._outgoing_queue = Queue() # outgoing queue from client side
self._ui_events_engine = LiveEventEngine() # update ui
self._outgoing_request_events_engine = LiveEventEngine() # events/actions request from client
self._schedule_timer = QtCore.QTimer() # task scheduler; TODO produce result_packet
# 3. data board
self._data_board = DataBoard()
# 5. risk manager and compliance manager
self.risk_manager = PassThroughRiskManager()
# 6. account manager
self.account_manager = AccountManager(self._config_server)
# 7 portfolio manager and position manager
self.portfolio_manager = PortfolioManager(self._config_client['initial_cash'])
## 4. strategy_manager
self._strategy_manager = StrategyManager(self._config_client, self._outgoing_request_events_engine,self._order_manager,self.portfolio_manager, self._data_board)
self._strategy_manager.load_strategy()
## 8. client mq
self._client_mq = ClientMq(self._ui_events_engine, self._outgoing_queue)
# 1. set up gui windows
self.setGeometry(50, 50, 600, 400)
self.setWindowTitle(lang_dict['Prog_Name'])
self.setWindowIcon(QtGui.QIcon("gui/image/logo.ico"))
self.init_menu()
self.init_status_bar()
self.init_central_area()
## 9. wire up event handlers
self._ui_events_engine.register_handler(EventType.TICK, self._tick_event_handler)
self._ui_events_engine.register_handler(EventType.ORDERSTATUS, self.order_window.order_status_signal.emit)
self._ui_events_engine.register_handler(EventType.FILL, self._fill_event_handler)
self._ui_events_engine.register_handler(EventType.POSITION, self._position_event_handler)
self._ui_events_engine.register_handler(EventType.ACCOUNT, self.account_window.account_signal.emit)
self._ui_events_engine.register_handler(EventType.CONTRACT, self._contract_event_handler)
self._ui_events_engine.register_handler(EventType.HISTORICAL, self._historical_event_handler)
self._ui_events_engine.register_handler(EventType.GENERAL, self.log_window.msg_signal.emit)
self._outgoing_request_events_engine.register_handler(EventType.ORDER, self._outgoing_order_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.ACCOUNT, self._outgoing_account_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.POSITION, self._outgoing_position_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.GENERAL, self._outgoing_general_msg_request_handler)
## 10. start
self._ui_events_engine.start()
self._outgoing_request_events_engine.start()
self._client_mq.start()
#################################################################################################
# -------------------------------- Event Handler --------------------------------------------#
#################################################################################################
def update_status_bar(self, message):
self.statusBar().showMessage(message)
def open_proj_folder(self):
webbrowser.open('/home/office/Documents/EliteQuant_Python.git/')
def place_order(self):
s = str(self.sym.text())
n = self.direction.currentIndex()
f = self.order_flag.currentIndex()
p = str(self.order_price.text())
q = str(self.order_quantity.text())
t = self.order_type.currentIndex()
# to be checked by risk manger
try:
o = OrderEvent()
o.full_symbol = s
o.order_size = int(q) if (n == 0) else -1 * int(q)
o.order_flag = OrderFlag(f)
o.create_time = datetime.now().strftime('%Y-%m-%d %H:%M:%S.%f')
if (t == 0):
o.order_type = OrderType.MARKET
self._outgoing_request_events_engine.put(o)
elif (t == 1):
o.order_type = OrderType.LIMIT
o.limit_price = float(p)
self._outgoing_request_events_engine.put(o)
else:
pass
except:
print('place order error')
def start_strategy(self):
self.strategy_window.update_status(self.strategy_window.currentRow(), True)
def pause_strategy(self):
pass
def stop_strategy(self):
self.strategy_window.update_status(self.strategy_window.currentRow(), False)
def closeEvent(self, a0: QtGui.QCloseEvent):
print('closing main window')
self._ui_events_engine.stop()
self._outgoing_request_events_engine.stop()
self._client_mq.stop()
def _tick_event_handler(self, tick_event):
self._current_time = tick_event.timestamp
self._data_board.on_tick(tick_event) # update databoard
self._order_manager.on_tick(tick_event) # check standing stop orders
self._strategy_manager.on_tick(tick_event) # feed strategies
self.market_window.tick_signal.emit(tick_event) # display
def _order_status_event_handler(self, order_status_event): # including cancel
# this is moved to ui_thread for consistency
pass
def _fill_event_handler(self, fill_event):
# update portfolio manager for pnl
self._order_manager.on_fill(fill_event) # update order manager with fill
self._strategy_manager.on_fill(fill_event) # feed fill to strategy
self.fill_window.fill_signal.emit(fill_event) # display
self.order_window.update_order_status(fill_event.client_order_id,
self._order_manager.retrieve_order(fill_event.client_order_id).order_status)
def _position_event_handler(self, position_event):
self.portfolio_manager.on_position(position_event) # position received
self.position_window.position_signal.emit(position_event) # display
def _account_event_handler(self, account_event):
pass
def _contract_event_handler(self, contract_event):
self.portfolio_manager.on_contract(contract_event)
def _historical_event_handler(self, historical_event):
print(historical_event)
def _general_event_handler(self, general_event):
pass
def _outgoing_order_request_handler(self, o):
"""
process o, check against risk manager and compliance manager
"""
self.risk_manager.order_in_compliance(o) # order pointer; modify order directly
self._order_manager.on_order(o)
msg = o.serialize()
print('send msg: ' + msg)
self._outgoing_queue.put(msg)
def _outgoing_account_request_handler(self, a):
msg = a.serialize()
print('send msg: ' + msg)
self._outgoing_queue.put(msg)
def _outgoing_position_request_handler(self, p):
msg = p.serialize()
print('send msg: ' + msg)
self._outgoing_queue.put(msg)
def _outgoing_general_msg_request_handler(self, g):
self.log_window.update_table(g) # append to log window
#################################################################################################
# ------------------------------ Event Handler Ends --------------------------------------------#
#################################################################################################
#################################################################################################
# -------------------------------- User Interface --------------------------------------------#
#################################################################################################
def set_font(self, font):
self._font = font
def init_menu(self):
menubar = self.menuBar()
sysMenu = menubar.addMenu(self._lang_dict['File'])
# open folder
sys_folderAction = QtWidgets.QAction(self._lang_dict['Folder'], self)
sys_folderAction.setStatusTip(self._lang_dict['Open_Folder'])
sys_folderAction.triggered.connect(self.open_proj_folder)
sysMenu.addAction(sys_folderAction)
sysMenu.addSeparator()
# sys|exit
sys_exitAction = QtWidgets.QAction(self._lang_dict['Exit'], self)
sys_exitAction.setShortcut('Ctrl+Q')
sys_exitAction.setStatusTip(self._lang_dict['Exit_App'])
sys_exitAction.triggered.connect(self.close)
sysMenu.addAction(sys_exitAction)
def init_status_bar(self):
self.statusthread = StatusThread()
self.statusthread.status_update.connect(self.update_status_bar)
self.statusthread.start()
def init_central_area(self):
self.central_widget = QtWidgets.QWidget()
hbox = QtWidgets.QHBoxLayout()
#-------------------------------- Top Left ------------------------------------------#
topleft = MarketWindow(self._symbols, self._lang_dict)
self.market_window = topleft
# -------------------------------- Top right ------------------------------------------#
topright = QtWidgets.QFrame()
topright.setFrameShape(QtWidgets.QFrame.StyledPanel)
topright.setFont(self._font)
place_order_layout = QtWidgets.QFormLayout()
self.sym = QtWidgets.QLineEdit()
self.sym_name = QtWidgets.QLineEdit()
self.sec_type = QtWidgets.QComboBox()
self.sec_type.addItems([self._lang_dict['Stock'], self._lang_dict['Future'], self._lang_dict['Option'], self._lang_dict['Forex']])
self.direction = QtWidgets.QComboBox()
self.direction.addItems([self._lang_dict['Long'], self._lang_dict['Short']])
self.order_flag = QtWidgets.QComboBox()
self.order_flag.addItems([self._lang_dict['Open'], self._lang_dict['Close'], self._lang_dict['Close_Yesterday'], self._lang_dict['Close_Today']])
self.order_price = QtWidgets.QLineEdit()
self.order_quantity = QtWidgets.QLineEdit()
self.order_type = QtWidgets.QComboBox()
self.order_type.addItems([self._lang_dict['MKT'], self._lang_dict['LMT'], self._lang_dict['FAK'], self._lang_dict['FOK']])
self.exchange = QtWidgets.QComboBox()
self.exchange.addItems(['CFFEX','SHFE', 'DCE', 'HKFE','GLOBEX','SMART'])
self.account = QtWidgets.QComboBox()
self.account.addItems(['FROM', 'CONFIG'])
self.btn_order = QtWidgets.QPushButton(self._lang_dict['Place_Order'])
self.btn_order.clicked.connect(self.place_order)
place_order_layout.addRow(QtWidgets.QLabel(self._lang_dict['Discretionary']))
place_order_layout.addRow(self._lang_dict['Symbol'], self.sym)
place_order_layout.addRow(self._lang_dict['Name'], self.sym_name)
place_order_layout.addRow(self._lang_dict['Security_Type'], self.sec_type)
place_order_layout.addRow(self._lang_dict['Direction'], self.direction)
place_order_layout.addRow(self._lang_dict['Order_Flag'], self.order_flag)
place_order_layout.addRow(self._lang_dict['Price'], self.order_price)
place_order_layout.addRow(self._lang_dict['Quantity'], self.order_quantity)
place_order_layout.addRow(self._lang_dict['Order_Type'], self.order_type)
place_order_layout.addRow(self._lang_dict['Exchange'], self.exchange)
place_order_layout.addRow(self._lang_dict['Account'], self.account)
place_order_layout.addRow(self.btn_order)
topright.setLayout(place_order_layout)
# -------------------------------- bottom Left ------------------------------------------#
bottomleft = QtWidgets.QTabWidget()
bottomleft.setFont(self._font)
tab1 = QtWidgets.QWidget()
tab2 = QtWidgets.QWidget()
tab3 = QtWidgets.QWidget()
tab4 = QtWidgets.QWidget()
tab5 = QtWidgets.QWidget()
bottomleft.addTab(tab1, self._lang_dict['Log'])
bottomleft.addTab(tab2, self._lang_dict['Order'])
bottomleft.addTab(tab3, self._lang_dict['Fill'])
bottomleft.addTab(tab4, self._lang_dict['Position'])
bottomleft.addTab(tab5, self._lang_dict['Account'])
self.log_window = LogWindow(self._lang_dict)
tab1_layout = QtWidgets.QVBoxLayout()
tab1_layout.addWidget(self.log_window)
tab1.setLayout(tab1_layout)
self.order_window = OrderWindow(self._order_manager,self._outgoing_queue, self._lang_dict) # cancel_order outgoing nessage
tab2_layout = QtWidgets.QVBoxLayout()
tab2_layout.addWidget(self.order_window)
tab2.setLayout(tab2_layout)
self.fill_window =FillWindow(self._order_manager, self._lang_dict)
tab3_layout = QtWidgets.QVBoxLayout()
tab3_layout.addWidget(self.fill_window)
tab3.setLayout(tab3_layout)
self.position_window = PositionWindow(self._lang_dict)
tab4_layout = QtWidgets.QVBoxLayout()
tab4_layout.addWidget(self.position_window)
tab4.setLayout(tab4_layout)
self.account_window = AccountWindow(self.account_manager, self._lang_dict)
tab5_layout = QtWidgets.QVBoxLayout()
tab5_layout.addWidget(self.account_window)
tab5.setLayout(tab5_layout)
# -------------------------------- bottom right ------------------------------------------#
bottomright = QtWidgets.QFrame()
bottomright.setFrameShape(QtWidgets.QFrame.StyledPanel)
bottomright.setFont(self._font)
strategy_manager_layout = QtWidgets.QFormLayout()
self.strategy_window = StrategyWindow(self._lang_dict, self._strategy_manager)
self.btn_strat_start = QtWidgets.QPushButton(self._lang_dict['Start_Strat'])
self.btn_strat_start.clicked.connect(self.start_strategy)
self.btn_strat_pause = QtWidgets.QPushButton(self._lang_dict['Pause_Strat'])
self.btn_strat_pause.clicked.connect(self.pause_strategy)
self.btn_strat_stop = QtWidgets.QPushButton(self._lang_dict['Stop_Strat'])
self.btn_strat_stop.clicked.connect(self.stop_strategy)
self.btn_strat_liquidate = QtWidgets.QPushButton(self._lang_dict['Liquidate_Strat'])
btn_strat_layout = QtWidgets.QHBoxLayout()
btn_strat_layout.addWidget(self.btn_strat_start)
btn_strat_layout.addWidget(self.btn_strat_pause)
btn_strat_layout.addWidget(self.btn_strat_stop)
btn_strat_layout.addWidget(self.btn_strat_liquidate)
strategy_manager_layout.addRow(QtWidgets.QLabel(self._lang_dict['Automatic']))
strategy_manager_layout.addRow(self.strategy_window)
strategy_manager_layout.addRow(btn_strat_layout)
bottomright.setLayout(strategy_manager_layout)
# --------------------------------------------------------------------------------------#
splitter1 = QtWidgets.QSplitter(QtCore.Qt.Horizontal)
splitter1.addWidget(topleft)
splitter1.addWidget(topright)
splitter1.setSizes([400,100])
splitter2 = QtWidgets.QSplitter(QtCore.Qt.Horizontal)
splitter2.addWidget(bottomleft)
splitter2.addWidget(bottomright)
splitter2.setSizes([400, 100])
splitter3 = QtWidgets.QSplitter(QtCore.Qt.Vertical)
splitter3.addWidget(splitter1)
splitter3.addWidget(splitter2)
splitter3.setSizes([400, 100])
hbox.addWidget(splitter3)
self.central_widget.setLayout(hbox)
self.setCentralWidget(self.central_widget)